OK just caught up and hmmm I think I am going to have to read the books, if the tv show is this good the books gotta be awesome.
There is only one book. It is a fantastic book to get you really thinking and questioning, but it is different from this series, and many people feel that the ending (of the novel) is very frustrating, it is very open-ended and Dick said he wanted to write a sequel, but he never did.
I just finished watching the series, and what they did is take bits and pieces from the book and scatter them throughout the whole series, and then added an original plot in between. There are also some big differences in the world. In the book Hitler dies shortly after the war and Bormann is the Furher, Heydrich is actually a moderate Nazi. The biggest difference is that "The Grasshopper Lies Heavy" is a popular book, and not films, and the Man in the High Castle is the author of Grasshopper. Also the I Ching is much more prominent in the book, and not to give to much away, but in the book the allegiance of one of the main characters is exact opposite of what they made of the series.
